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RE: st: Stata: Command for F-Test Iterations in Stata 9

From   "Nick Cox" <>
To   <>
Subject   RE: st: Stata: Command for F-Test Iterations in Stata 9
Date   Tue, 31 Oct 2006 22:45:44 -0000

I sign up to subversive uses of -stepwise- or similar. 

For example, I wrote a toy command called -allpossible-, 
which does rather less than might be inferred from its 
hubristic name. The intent was to tabulate systematically
-- in a given problem -- that lots of possible models 
were nearly equivalent in predictive power (according 
to various criteria). It's available on SSC, FWIW. 


Richard Williams
> I've actually warmed up a bit to stepwise lately - not as a way of 
> building a model from scratch, but as a way of verifying whether 
> mindless empiricism leads you to the same models that your carefully 
> thought out theories do.  If not, and if a plausible case can be made 
> for the variables selected by stepwise, then you may want to rethink 
> your theory or at least acknowledge the possibility of alternative 
> models. For example, in one of my working papers, I toss out (as a 
> footnote) that stepwise regression chooses different variables than 
> this other paper i am discussing, and that these alternative 
> variables make as much substantive sense as the ones the author 
> happened to choose.

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